Sfoglia per Autore

Mostrati risultati da 1 a 38 di 38
Titolo Data di pubblicazione Autori File
Self-exciting jumps in the oil market: Bayesian estimation and dynamic hedging 1-gen-2021 Sgarra C. +
A Gamma Ornstein–Uhlenbeck model driven by a Hawkes process 1-gen-2021 Sgarra C. +
A self-exciting modeling framework for forward prices in power markets 1-gen-2021 Carlo Sgarra +
Asian options pricing in Hawkes-type jump-diffusion models. 1-gen-2020 Sgarra C. +
A branching process approach to power markets. 1-gen-2019 Sgarra, Carlo +
A particle filtering approach to oil futures price calibration and forecasting 1-gen-2018 Fileccia, GaetanoSgarra, Carlo
Geometric Asian option pricing in general affine stochastic volatility models with jumps 1-gen-2017 SGARRA, CARLO +
Optimal investment in markets with over and under-reaction to information. 1-gen-2016 SGARRA, CARLO +
European Option Pricing with Transaction Costs and Stochastic Volatility: an Asymptotic Analysis 1-gen-2015 SGARRA, CARLO +
Historical and risk-neutral estimation in a two factors stochastic volatility model for oil markets 1-gen-2015 SGARRA, CARLOFILECCIA, GAETANO
American option valuation in a stochastic volatility model with transaction costs 1-gen-2015 MARAZZINA, DANIELESGARRA, CARLO +
Comparison Results for GARCH Processes 1-gen-2014 SGARRA, CARLO +
Acceptability indexes via g-expectations: an application to liquidity risk. 1-gen-2013 SGARRA, CARLO +
Convex Ordering of Esscher and Minimal Entropy Martingale Measures in Discrete Time Models 1-gen-2012 SGARRA, CARLO +
The Risk Premium and the Esscher Transform in Power Markets 1-gen-2012 SGARRA, CARLO +
Some Results on Correlation Matrices for Interest Rates 1-gen-2011 SGARRA, CARLO +
On the Explicit Evaluation of the Geometric Asian Options in Stochastic Volatility Models with Jumps 1-gen-2011 SGARRA, CARLO +
A Finite Element Discretization Method for Option Pricing with the Bates Model 1-gen-2011 MIGLIO, EDIESGARRA, CARLO
The evaluation of American options in a stochastic volatility model with jumps: An efficient finite element approach. 1-gen-2010 SGARRA, CARLO +
On the Esscher Transforms and Other Equivalent Martingale Measures for the Barndorff-Nielsen and Shephard Stochastic Volatility Models with Jumps 1-gen-2009 SGARRA, CARLO +
Shift, slope and curvature for a class of yields correlation matrices 1-gen-2007 SGARRA, CARLO +
Quadratic Hedging for the Bates Model 1-gen-2007 SGARRA, CARLO +
The Esscher Transforms and The Minimal Entropy Martingale Measure for Exponential Lévy Models 1-gen-2006 SGARRA, CARLO +
An Exact Analytical Solution for Discrete Barrier Options 1-gen-2006 SGARRA, CARLO +
Correlation matrices for yields and total positivity 1-gen-2006 SGARRA, CARLO +
Rotations which make strain and stress coaxial 1-gen-1997 SGARRA, CARLOVIANELLO, MAURIZIO STEFANO
Directions of coaxiality between pure strain and stress in linear elasticity 1-gen-1997 SGARRA, CARLOVIANELLO, MAURIZIO STEFANO
Half-Range Completeness of the Fokker-Planck Eqution with an External Force 1-gen-1995 CERCIGNANI, CARLOSGARRA, CARLO
Comments on Extension of the Mott-Smith Method to denser gases 1-gen-1995 CERCIGNANI, CARLOFREZZOTTI, ALDOSGARRA, CARLO
Numerical Analysis of a Shock-Wave Solution of the Enskog Equation Obtained via a Monte Carlo Method 1-gen-1993 FREZZOTTI, ALDOSGARRA, CARLO
Half-Range Completeness for the Fokker-Planck Equation with an External Force 1-gen-1992 CERCIGNANI, CARLOSGARRA, CARLO
On the Relation between the Scattering Kernel and the Standard Formulation of the Boltzmann Equation 1-gen-1988 CERCIGNANI, CARLOLAMPIS, MARIASGARRA, CARLO
L2-Stability near Equilibrium of the Solution of the Homogeneous Boltzmann Equation in the case of Maxwellian Molecules 1-gen-1988 CERCIGNANI, CARLOLAMPIS, MARIASGARRA, CARLO
Numerical Analysis of Two-Soliton Solutions on a Bianchi Type-II Background 1-gen-1986 SGARRA, CARLO +
Remarks about Higher-Order Poles in the Belinsky-Zakharov Method for Einstein Equations 1-gen-1984 SGARRA, CARLO +
Mostrati risultati da 1 a 38 di 38
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